Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2081231
When all we have is not enough: a search for the optimal method of quantifying inflation expectations
Aleksandra Rutkowska
Magdalena Szyszko
Michał Bernard Pietrzak
Sažetak
Although inflation expectations are pivotal variables for central
banks, they are not directly observable. Therefore, central banks
use qualitative survey results to proxy consumer expectations,
and their quantification in this manner is often criticized. In this
study, we investigate and identify an optimal quantification procedure
for survey results based on a set of regression and probabilistic
models. Specifically, we seek to identify the method that
returns time series that are most highly correlated with an
unbiased representative of survey-based expectation: balance statistics.
We place additional constraints on this criterion to identify
the procedure that returns expectations that are most closely
related to consumer intentions (directional co-movements and
forecast accuracy). Our sample covers the European Union member
states over the period of January 2002 to June 2019. We also
test a post-crisis subsample. Our results suggest that different
procedures may be optimal for different economies, in line with
previous findings on cross-country divergences of expectations
formation. However, we find that the most applied assumption of
normal distribution does not prove to be the best one. Our recommendation
is to apply probabilistic procedures rather than
regression methods.
Ključne riječi
Inflation expectations; quantifications; survey data; probabilistic methods; regression methods
Hrčak ID:
303764
URI
Datum izdavanja:
31.3.2023.
Posjeta: 444 *